Forbidden patterns, permutation entropy and stock market inefficiency

Detalhes bibliográficos
Autor(a) principal: Zunino, Luciano
Data de Publicação: 2009
Outros Autores: Zanin, Massimiliano, Tabak, Benjamin Miranda, Pérez, Darío G., Rosso, Osvaldo A.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/318
https://repositorio.ucb.br:9443/jspui/handle/123456789/7605
Resumo: In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented.
id UCB-2_2ffefebb942255bfc9898969097c65cb
oai_identifier_str oai:200.214.135.189:123456789/7605
network_acronym_str UCB-2
network_name_str Repositório Institucional da UCB
spelling Zunino, LucianoZanin, MassimilianoTabak, Benjamin MirandaPérez, Darío G.Rosso, Osvaldo A.2016-10-10T03:52:03Z2016-10-10T03:52:03Z2009ZUNINO, Luciano. et. al. Forbidden patterns, permutation entropy and stock market inefficiency. Physica A, v.388, n.14, p. 2854-2864, 2009.0378-4371http://twingo.ucb.br:8080/jspui/handle/10869/318https://repositorio.ucb.br:9443/jspui/handle/123456789/7605In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented.Made available in DSpace on 2016-10-10T03:52:03Z (GMT). No. of bitstreams: 5 Forbidden patterns, permutation entropy and stock market inefficiency.pdf: 559807 bytes, checksum: 36bf17de988bc1eb85d52429b34f2090 (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2009SimPublicadoTextoForbidden patternsPermutation entropyStock market inefficiencyForbidden patterns, permutation entropy and stock market inefficiencyinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlePhysica Ahttp://dx.doi.org/10.1016/j.physa.2009.03.042info:eu-repo/semantics/openAccessengreponame:Repositório Institucional da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBORIGINALForbidden patterns, permutation entropy and stock market inefficiency.pdfapplication/pdf559807https://200.214.135.178:9443/jspui/bitstream/123456789/7605/1/Forbidden%20patterns%2c%20permutation%20entropy%20and%20stock%20market%20inefficiency.pdf36bf17de988bc1eb85d52429b34f2090MD51CC-LICENSElicense_urlapplication/octet-stream52https://200.214.135.178:9443/jspui/bitstream/123456789/7605/2/license_url3d480ae6c91e310daba2020f8787d6f9MD52license_textapplication/octet-stream21716https://200.214.135.178:9443/jspui/bitstream/123456789/7605/3/license_text282d2b1a583fb55b557e8a3be8d5dd05MD53license_rdfapplication/octet-stream23930https://200.214.135.178:9443/jspui/bitstream/123456789/7605/4/license_rdf6b71892b27c4389434057b8b0e86b43eMD54LICENSElicense.txttext/plain1872https://200.214.135.178:9443/jspui/bitstream/123456789/7605/5/license.txt9ede5d1aaff3f6277cd24454ee44422eMD55TEXTForbidden patterns, permutation entropy and stock market inefficiency.pdf.txtForbidden patterns, permutation entropy and stock market inefficiency.pdf.txtExtracted texttext/plain46873https://200.214.135.178:9443/jspui/bitstream/123456789/7605/6/Forbidden%20patterns%2c%20permutation%20entropy%20and%20stock%20market%20inefficiency.pdf.txt9b67bcbdfcacabcbb309650550a842b9MD56123456789/76052017-01-17 15:09:05.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ório de Publicaçõeshttps://repositorio.ucb.br:9443/jspui/
dc.title.pt_BR.fl_str_mv Forbidden patterns, permutation entropy and stock market inefficiency
title Forbidden patterns, permutation entropy and stock market inefficiency
spellingShingle Forbidden patterns, permutation entropy and stock market inefficiency
Zunino, Luciano
Forbidden patterns
Permutation entropy
Stock market inefficiency
title_short Forbidden patterns, permutation entropy and stock market inefficiency
title_full Forbidden patterns, permutation entropy and stock market inefficiency
title_fullStr Forbidden patterns, permutation entropy and stock market inefficiency
title_full_unstemmed Forbidden patterns, permutation entropy and stock market inefficiency
title_sort Forbidden patterns, permutation entropy and stock market inefficiency
author Zunino, Luciano
author_facet Zunino, Luciano
Zanin, Massimiliano
Tabak, Benjamin Miranda
Pérez, Darío G.
Rosso, Osvaldo A.
author_role author
author2 Zanin, Massimiliano
Tabak, Benjamin Miranda
Pérez, Darío G.
Rosso, Osvaldo A.
author2_role author
author
author
author
dc.contributor.author.fl_str_mv Zunino, Luciano
Zanin, Massimiliano
Tabak, Benjamin Miranda
Pérez, Darío G.
Rosso, Osvaldo A.
dc.subject.por.fl_str_mv Forbidden patterns
Permutation entropy
Stock market inefficiency
topic Forbidden patterns
Permutation entropy
Stock market inefficiency
dc.description.abstract.por.fl_txt_mv In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented.
publishDate 2009
dc.date.issued.fl_str_mv 2009
dc.date.accessioned.fl_str_mv 2016-10-10T03:52:03Z
dc.date.available.fl_str_mv 2016-10-10T03:52:03Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv ZUNINO, Luciano. et. al. Forbidden patterns, permutation entropy and stock market inefficiency. Physica A, v.388, n.14, p. 2854-2864, 2009.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/318
https://repositorio.ucb.br:9443/jspui/handle/123456789/7605
dc.identifier.issn.none.fl_str_mv 0378-4371
identifier_str_mv ZUNINO, Luciano. et. al. Forbidden patterns, permutation entropy and stock market inefficiency. Physica A, v.388, n.14, p. 2854-2864, 2009.
0378-4371
url http://twingo.ucb.br:8080/jspui/handle/10869/318
https://repositorio.ucb.br:9443/jspui/handle/123456789/7605
dc.language.iso.fl_str_mv eng
language eng
dc.relation.publisherversion.pt_BR.fl_str_mv http://dx.doi.org/10.1016/j.physa.2009.03.042
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv Texto
dc.source.none.fl_str_mv reponame:Repositório Institucional da UCB
instname:Universidade Católica de Brasília (UCB)
instacron:UCB
instname_str Universidade Católica de Brasília (UCB)
instacron_str UCB
institution UCB
reponame_str Repositório Institucional da UCB
collection Repositório Institucional da UCB
bitstream.url.fl_str_mv https://200.214.135.178:9443/jspui/bitstream/123456789/7605/1/Forbidden%20patterns%2c%20permutation%20entropy%20and%20stock%20market%20inefficiency.pdf
https://200.214.135.178:9443/jspui/bitstream/123456789/7605/2/license_url
https://200.214.135.178:9443/jspui/bitstream/123456789/7605/3/license_text
https://200.214.135.178:9443/jspui/bitstream/123456789/7605/4/license_rdf
https://200.214.135.178:9443/jspui/bitstream/123456789/7605/5/license.txt
https://200.214.135.178:9443/jspui/bitstream/123456789/7605/6/Forbidden%20patterns%2c%20permutation%20entropy%20and%20stock%20market%20inefficiency.pdf.txt
bitstream.checksum.fl_str_mv 36bf17de988bc1eb85d52429b34f2090
3d480ae6c91e310daba2020f8787d6f9
282d2b1a583fb55b557e8a3be8d5dd05
6b71892b27c4389434057b8b0e86b43e
9ede5d1aaff3f6277cd24454ee44422e
9b67bcbdfcacabcbb309650550a842b9
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1724829829297078272

Registros relacionados